Showing 1 - 10 of 34
Persistent link: https://www.econbiz.de/10011952562
Persistent link: https://www.econbiz.de/10012494209
Persistent link: https://www.econbiz.de/10012494212
Persistent link: https://www.econbiz.de/10012494216
Persistent link: https://www.econbiz.de/10012494219
This paper combines dimensional analysis, leverage neutrality, and a principle of market microstructure invariance to derive scaling laws expressing transaction costs functions, bid-ask spreads, bet sizes, number of bets, and other financial variables in terms of dollar trading volume and...
Persistent link: https://www.econbiz.de/10012969188
assumption that private information has the same signal-to-noise ratio across markets. Equilibrium prices follow a martingale …
Persistent link: https://www.econbiz.de/10012969746
Persistent link: https://www.econbiz.de/10012985162
the 1987 crash and the 2008 sales by Société Générale, prices fell by magnitudes similar to predictions from invariance … transitory price impact. Smaller-than-predicted price declines for the 1929 crash suggest slower selling stabilized prices and …
Persistent link: https://www.econbiz.de/10012905695
Persistent link: https://www.econbiz.de/10013531193